SOA Exam FM Sample Question 181
Study guide: Exam FM-2
Determine which of the following conditions are necessary for an immunization strategy.
I. The present value of the cash inflow from the assets is equal to the present value of the cash outflow from the liabilities. II. The price sensitivity to changes in interest rates is greater for assets than for liabilities. III. The convexity of assets is less than the convexity of liabilities.
- A) I only
- B) II only
- C) III only
- D) I, II, and III
- E) The correct answer is not given by (A), (B), (C), or (D).
Answer this question and see the worked solution
Concepts tested
- Immunization
- Duration
- Portfolio
- Asset-Liability Portfolio
- Duration Matching
- Redington Immunization
- Convexity